The main objective of the present research is to analyze the relationship of levels of self-efficacy and anxiety, coping strategies, and emotional intelligence in Spanish university students. This study has a cross-sectional design. The sample was composed of 258 university students recruited from three academic areas. Descriptive, bivariate, and multivariate regression analyses were performed. Significant bivariate analysis showed a significant inverse correlation between self-efficacy and state anxiety ( = -0.340) and trait anxiety ( = -0.466). In addition, a direct correlation was found between self-efficacy and the coping strategies of problem-solving ( = 0.312), emotional expression ( = 0.133), cognitive restructuring ( = 0.195), social withdrawal ( = 0.103), and coping with a situation ( = 0.303), as well as with the emotional intelligence dimensions of emotional clarity ( = 0.397) and repair mood ( = 0.347). Multivariate regression analysis showed that trait anxiety, problem-solving, emotional expression, social withdrawal, and emotional clarity were significantly related to the dependent variable, predicting 39% of total variance on levels of general perceived self-efficacy. In conclusion, this paper contributes to a better understanding of the related factors to general perceived self-efficacy in undergraduate students.